The only die that has any thread build up for me is the rag die.. I don't pick it out, I let it pile up and it comes out easy on it's own. Doesn't hurt the cutting at all. I don't know who started the have to pick the threads out of the die. It's not necessary as far as I can tell.
The only waste I have is about 1/4" around each die, except for some applique dies. All it takes is common sense to not waste fabric on the die. Anything more and it's for fabric I don't care to keep any of.